| Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects J Grammig, M Melvin, C Schlag Journal of Empirical Finance 12 (1), 139-164, 2005 | 301* | 2005 |
| Non‐monotonic hazard functions and the autoregressive conditional duration model J Grammig, KO Maurer The Econometrics Journal 3 (1), 16-38, 2000 | 291 | 2000 |
| A comparison of financial duration models via density forecasts L Bauwens, P Giot, J Grammig, D Veredas International Journal of Forecasting 20 (4), 589-609, 2004 | 263 | 2004 |
| A family of autoregressive conditional duration models M Fernandes, J Grammig Journal of Econometrics 130 (1), 1-23, 2006 | 254 | 2006 |
| Knowing me, knowing you:: Trader anonymity and informed trading in parallel markets J Grammig, D Schiereck, E Theissen Journal of Financial Markets 4 (4), 385-412, 2001 | 175 | 2001 |
| Estimating the probability of informed trading—does trade misclassification matter? E Boehmer, J Grammig, E Theissen Journal of Financial Markets 10 (1), 26-47, 2007 | 157 | 2007 |
| Modeling the interdependence of volatility and inter-transaction duration processes J Grammig, M Wellner Journal of Econometrics 106 (2), 369-400, 2002 | 141 | 2002 |
| Nonparametric specification tests for conditional duration models M Fernandes, J Grammig Journal of Econometrics 127 (1), 35-68, 2005 | 131 | 2005 |
| How Large is Liquidity Risk in an Automated Auction Market? P Giot, J Grammig Empirical Economics 30, 867-887, 2006 | 75 | 2006 |
| Tell-Tale Tails: A New Approach to Estimating Unique Market Information Shares J Grammig, F Peter Journal of Financial and Quantitative Analysis 48 (2), 459-488, 2013 | 72 | 2013 |
| Commonalities in the order book H Beltran-Lopez, P Giot, J Grammig Financial Markets and Portfolio Management 23 (3), 209-242, 2009 | 44* | 2009 |
| The role of US trading in pricing internationally cross-listed stocks J Grammig, C Schlag, M Melvin Available at SSRN 567066, 2004 | 42 | 2004 |
| Limit order books and trade informativeness H Beltran-Lopez, J Grammig, AJ Menkveld The European Journal of Finance 18 (9), 737-759, 2012 | 37* | 2012 |
| Liquidity Supply and Adverse Selection in a Pure Limit Order Book Market J Grammig, S Frey Empirical Economics 30, 1007-1033, 2006 | 36* | 2006 |
| Discrete choice modelling in airline network management J Grammig, R Hujer, M Scheidler Journal of Applied Econometrics 20 (4), 467-486, 2005 | 34 | 2005 |
| Time and Price Impact of a Tade J Grammig, E Theissen, W Oliver WP 07-12 Centre for Financial Research, Cologne, 2007 | 28* | 2007 |
| Trading activity and liquidity supply in a pure limit order book market- An empirical analysis using a multivariate count data mode J Grammig, A Heinen, E Rengifo EFA 2005 Moscow meeting paper, 2005 | 28* | 2005 |
| Informationsbasierter Aktienhandel über IBIS J Grammig, D Schiereck, E Theissen Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung 52 (7), 619-642, 2000 | 24 | 2000 |
| A new marked point process model for the federal funds rate target: Methodology and forecast evaluation J Grammig, K Kehrle Journal of Economic Dynamics and Control 32 (7), 2370-2396, 2008 | 22 | 2008 |
| Comparison of neuronal density and subfield sizes in the hippocampus of CD95L‐deficient (gld), CD95‐deficient (lpr) and nondeficient mice AD Kovac, J Grammig, J Mahlo, B Steiner, R Roth, Karl, Nitsch, ... European Journal of Neuroscience 16 (1), 159-163, 2002 | 20 | 2002 |
Marcelo FernandesSao Paulo School of Economics, FGVVerified email at fgv.br
